Showing SYNTHETIC demo data — Dhan access token expired 01 Oct, 12:49 IST.
Nothing on these pages reflects real market data until live data resumes. Generate a new access token in Dhan (tokens are valid for 24 hours), set DHAN_ACCESS_TOKEN on the server and restart or redeploy.
Methodology
How the India Market Sentiment score, confidence, regime and explanations are computed.
Principles
- Measurement, not prediction. The score describes current sentiment and positioning. Fear does not mean the market will rise; greed does not mean it will fall. No trading instructions are given.
- Multi-factor, not “VIX + PCR”. 16 factor groups and 114 scored indicators (plus 23 context readings). Highly correlated indicators share a cluster and are averaged, so they count once.
- No invented data. Missing or too-old data is shown as UNAVAILABLE/STALE and lowers Model Confidence. If coverage-weighted factor weight falls below 35%, no score is published.
- Point-in-time. Percentiles use only trailing history (default 10 years, minimum 3); historical scores apply publication lags (weekly 5 days, monthly 45 days, quarterly 100 days).
Scoring pipeline
- Each indicator's metric (return, spread, ratio, flow sum…) is mapped to 0–100, higher = greed / risk-on: a point-in-time percentile (polarity-adjusted) or, for bounded or target-based measures (PMI, CPI vs target, PCR, breadth thrust), fixed anchors.
- Indicators in the same cluster are averaged; clusters are weighted within their factor. Factor coverage = share of cluster weight with data.
- Factor weight × (0.5 + 0.5 × coverage) gives the raw weight; weights are renormalised across available factors and any factor above 20% is capped (excess redistributed).
- Master score = 50 + Σ effective weight × (factor score − 50). Each factor's “points” are its term in that sum, so contributions add up exactly.
- Sentiment momentum compares today's score with the same computation 1 day, 1 week, 1 month and 3 months ago.
Bands
| Range | Band | Class |
|---|---|---|
| 0–20 | 🔴 Extreme Fear | EXTREME FEAR |
| 20–35 | 🔴 Fear | FEAR |
| 35–45 | 🟡 Mild Fear | FEAR |
| 45–55 | 🟡 Neutral | NEUTRAL |
| 55–65 | 🟡 Mild Greed | GREED |
| 65–80 | 🟢 Greed | GREED |
| 80–100 | 🟢 Extreme Greed | EXTREME GREED |
Thresholds are configurable on Settings & Sources.
Factor weights (sum 105; applied as relative weights)
| Factor | Weight | Share | Clusters (weight) | What it measures |
|---|---|---|---|---|
| Equity Momentum | 10 | 9.5% | Index trend (DMA position/slope) (30) · Index returns (1M–6M) (25) · Mid/small-cap participation (20) · Sector risk appetite (cyclical vs defensive) (15) · Distance from 52-week high (10) | Trend, multi-horizon returns and distance from highs of NIFTY/SENSEX, broad-market indices and sector risk appetite. |
| Market Breadth | 15 | 14.3% | Advance/decline (25) · % of stocks above DMAs (30) · New highs vs new lows (15) · Market internals (value, A/D momentum, RS breadth) (20) · Breadth thrust (10) | Participation across the NSE universe: advance/decline, % above moving averages, highs/lows, internals and thrust. |
| Derivatives Positioning | 10 | 9.5% | OI put/call ratio (40) · FII index futures positioning (35) · Later-expiry positioning (25) | Open-interest positioning: OI PCR, FII index futures and whether positioning persists into later expiries. |
| Option Premium Flow | 8 | 7.6% | Net premium pressure (45) · Premium put/call ratio (25) · Likely writing balance (30) | Where option money is traded: net premium pressure, premium PCR and likely buying vs writing. |
| Volatility | 7 | 6.7% | India VIX level (35) · India VIX change (20) · Implied minus realised volatility (20) · IV skew (25Δ put − call) (25) | India VIX level and change, implied vs realised volatility and put skew. Interpreted in context, not as fear by itself. |
| FII/DII Flows | 10 | 9.5% | FII cash flows (55) · DII cash flows (25) · FII debt flows (20) | Cash-market flows of foreign and domestic institutions and FII debt flows. |
| Liquidity | 7 | 6.7% | System liquidity (LAF) (40) · Money-market rates vs repo (30) · Bank credit & deposit growth (20) · Government cash balance (10) | RBI system liquidity, money-market rates vs repo, bank credit/deposit growth and government cash balances. |
| Currency | 5 | 4.8% | USD/INR move (45) · INR volatility (30) · Forex reserves (25) | USD/INR move relative to its own history, INR volatility and forex reserves. |
| Bond Market | 5 | 4.8% | 10Y G-Sec change (45) · Yield curve (10Y−2Y) (30) · India–US 10Y spread (25) | G-Sec yield changes, curve shape and the India–US yield spread. |
| Credit | 5 | 4.8% | Corporate bond spreads (55) · CD/CP funding spreads (20) · Bank asset quality & funding (25) | Corporate bond spreads, short-term funding spreads and bank asset quality. |
| Global Risk Appetite | 5 | 4.8% | US equities (30) · Global & EM equities (25) · US volatility & credit spreads (30) · Dollar & US yields (15) | Global equities, US volatility and credit, and dollar/rates pressure. |
| Commodities | 4 | 3.8% | Crude oil (50) · Precious metals (haven demand) (20) · Industrial metals (20) · Natural gas (10) | Crude oil (key for India's inflation, INR and current account), gold as a haven, industrial metals. |
| Valuation | 4 | 3.8% | P/E (trailing & forward) (40) · P/B (20) · Equity risk premium (40) | How much optimism is priced in: P/E, P/B and equity risk premium. High valuation lowers this factor; it is not a timing signal. |
| Earnings | 3 | 2.9% | EPS revisions (60) · Earnings growth & surprise (40) | Earnings momentum, separate from price: forward EPS revisions, upgrades vs downgrades, growth and surprises. |
| Macro Economy | 4 | 3.8% | Growth (45) · Inflation (30) · External balance (15) · Fiscal (10) | Growth (IIP, PMI, GST, GDP), inflation, external balance and fiscal position. |
| Retail / MF / IPO | 3 | 2.9% | Mutual fund & SIP flows (40) · Retail participation (25) · IPO / SME IPO activity (35) | Retail participation and speculative activity: MF & SIP flows, demat additions, F&O participation and IPO activity. |
Sector rotation is the “sector risk appetite” cluster of Equity Momentum; market internals are a cluster of Market Breadth; IV skew is a cluster of Volatility; expiry-specific positioning is a cluster of Derivatives Positioning; Credit Stress Score = 100 − Credit factor.
Model confidence
0.35 × factor coverage + 0.25 × freshness (LIVE 1, RECENT 0.85, STALE 0.4) + 0.25 × coverage of core Indian segments (momentum, breadth, derivatives, volatility, FII/DII) + 0.15 × agreement between independent sources (USD/INR: market vs Fed H.10; 10Y G-Sec: CCIL vs OECD). Capped at 20 when no score can be published.
Regime classifier
Separate from the score. Specialised regimes (high-volatility, event-driven, stagflationary, deflationary, risk-off, risk-on) require every one of their conditions — drawn from different factor groups — to hold. Liquidity-, earnings- and macro-driven tags describe what is carrying the score. Otherwise the regime is cautious risk-on (≥ 55), neutral or cautious risk-off (≤ 45). Conditions are listed with the regime.
Option-chain analytics
- Premium traded = LTP × volume × lot size (volume in contracts; historical calculations must use the lot size in force on the date).
- OI PCR = put OI / call OI; premium PCR = put premium / call premium; both within ±10 strikes of ATM by default. Divergence: OI PCR ≥ 1.1 with premium PCR ≥ 1.15, or OI PCR ≤ 0.8 with premium PCR ≤ 0.85.
- Buying/writing: sign of price change × sign of OI change, strength from the size of both moves, volume/OI and IV change. Reported as “Possible / Likely / Evidence suggests”.
- Premium pressure: Σ premium × direction (buying +1, writing −1, short covering +0.5, long unwinding −0.5) × evidence × IV context; net = calls − puts (bullish +).
- Max Pain: strike minimising the intrinsic value payable to option holders. OI zones: contiguous strikes with ≥ 60% of the peak OI, above spot for calls and below for puts.
- IV skew: 25-delta put IV − 25-delta call IV (Black-Scholes deltas, risk-free 6.5%).
Limitations
- Weights and anchors are judgement-based starting points, not fitted to returns (to avoid overfitting); change them in Settings.
- Many Indian series are released monthly or quarterly; their contribution lags fast-moving markets.
- Option-flow classification uses end-of-period snapshots and cannot see individual trades.
- Backtest statistics are historical observations with heavily overlapping windows; they are not expected returns.